Review of Financial Studies Vol. 5 No. 1 1992
Intertemporal Arbitrage Pricing Theory
Abstract
[It is shown that the arbitrage pricing theory holds in each infinitesimal period of a continuous trading model under the assumption that dividend payoffs are functionals of factor and idiosyncratic uncertainty. This generalizes the one-period model's result that the arbitrage pricing theory holds under the assumption that price changes in a given period satisfy a factor structure. Since instantaneous returns in a multiperiod model are endogenously determined, the theory is derived under assumptions that may be viewed as restricting more primitive characteristics of the economy than the assumptions made for the one-period model.]
- Volume
- 5
- Issue
- 1
- Pages
- 105-122
- Sources
- bibtex:phds-export.bib